Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions
This article addresses estimating parametric marginal densities of stationary time series in the absence of precise information on the dynamics of the underlying process. We propose using an estimator obtained by maximization of the "quasi-marginal" likelihood, which is a likelihood written as if the observations were independent. We study the effect of the (neglected) dynamics on the asymptotic behavior of this estimator. The consistency and asymptotic normality of the estimator are established under mild assumptions on the dependence structure. Applications of the asymptotic results to the estimation of stable, generalized extreme value and generalized Pareto distributions are proposed. The theoretical results are illustrated on financial index returns. Supplementary materials for this article are available online.
(This abstract was borrowed from another version of this item.)
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